摘要
We represent the exponential moment of the Brownian functionals under a nonlinear expectation according to the solution to a backward stochastic differential equation.As an application,we establish a large deviation principle of the Freidlin and Wentzell type under the corresponding nonlinear probability for diffusion processes with a small diffusion coefficient.
We represent the exponential moment of the Brownian functionals under a nonlinear expectation according to the solution to a backward stochastic differential equation. As an application, we establish a large deviation principle of the Freidlin and Wentzell type under the corresponding nonlinear probability for diffusion processes with a small diffusion coefficient.
作者
CHEN ZengJing 1,2 & XIONG Jie 3,4,1 School of Mathematics,Shandong University,Jinan 250100,China
2 Department of Financial Engineering,Ajou University,Suwon 443749,Korea
3 Department of Mathematics,University of Macao,PO Box 3001,Macao,China
4 Department of Mathematics,University of Tennessee,Knoxville,TN 37996-1300,USA
基金
supported by National Natural Science Foundation of China (Grant No.10921101)
WCU program of the Korea Science and Engineering Foundation (Grant No. R31-20007)
National Science Foundation of US (Grant No. DMS-0906907)
